Investment Science

Name: Investment Science
Price: 4590 ISK
Availability: InStock
Author: David G. Luenberger
ISBN: 9780197564608

Höfundur: David G. Luenberger (Útgáfa: 2)

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Investment Science, Second Edition, provides thorough and highly accessible mathematical coverage of the fundamental topics of intermediate investments, including fixed-income securities, capital asset pricing theory, derivatives, and innovations in optimal portfolio growth and valuation of multi-period risky investments. Eminent scholar and teacher David G. Luenberger, known for his ability to make complex ideas simple, presents essential ideas of investments and their applications, offering students the most comprehensive treatment of the subject available.

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Útgefandi: Oxford University Press Academic US

ISBN: 9780197564608

Print ISBN: 9780199740086

Format: Page Fidelity (PDF)

Útgáfa: 2

Höfundar: David G. Luenberger

Tungumál: English

Útgefið: 2020-08-19

Prent takmörkun á líftíma: 100

Flokkar: Viðskiptafræði

Efnisflokkar: Viðskipti og hagfræði › Fjármál

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CONTENTS
PREFACE
Chapter 1 INTRODUCTION
1.1 Cash Flows
1.2 Investments and Markets
The Comparison Principle
Arbitrage
Dynamics
Risk Aversion
1.3 Typical Investment Problems
Pricing
Hedging
Risk Assessment and Management
Pure Investment
Other Problems
1.4 Organization of the Book
Deterministic Cash Flow Streams
Single-Period Random Cash Flow Streams
Derivative Assets
General Cash Flow Streams
Part I: DETERMINISTIC CASH FLOWSTREAMS
Chapter 2 THE BASIC THEORY OF INTEREST
2.1 Principal and Interest
2.2 Present Value
2.3 Present and Future Values of Streams
2.4 Internal Rate of Return
2.5 Evaluation Criteria
2.6 Applications and Extensions*
2.7 Summary
Exercises
References
Chapter 3 FIXED-INCOME SECURITIES
3.1 The Market for Future Cash
3.2 Value Formulas
3.3 Bond Details
3.4 Yield
3.5 Duration
3.6 Immunization
3.7 Convexity*
3.8 Summary
Exercises
References
Chapter 4 THE TERM STRUCTURE OF INTEREST RATES
4.1 The Yield Curve
4.2 The Term Structure
4.3 Forward Rates
4.4 Term Structure Explanations
4.5 Expectations Dynamics
4.6 Running Present Value
4.7 Floating-Rate Bonds
4.8 Duration
4.9 Immunization
4.10 Summary
Exercises
References
Chapter 5 APPLIED INTEREST RATE ANALYSIS
5.1 Capital Budgeting
5.2 Optimal Portfolios
5.3 Dynamic Cash Flow Processes
5.4 Optimal Management
5.5 The Harmony Theorem*
5.6 Valuation of a Firm*
5.7 Summary
Exercises
References
Part II: SINGLE-PERIOD RANDOM CASH FLOWS
Chapter 6 MEAN–VARIANCE PORTFOLIO THEORY
6.1 Asset Return
6.2 Random Variables
6.3 Random Returns
6.4 Portfolio Mean and Variance
6.5 The Feasible Set
6.6 The Markowitz Model
6.7 The Two-Fund Theorem*
6.8 Inclusion of a Risk-Free Asset
6.9 The One-Fund Theorem
6.10 Summary
Exercises
References
Chapter 7 THE CAPITAL ASSET PRICING MODEL
7.1 Market Equilibrium
7.2 The Capital Market Line
7.3 The Pricing Model
7.4 The Security Market Line
7.5 Investment Implications
7.6 Performance Evaluation
7.7 CAPM as a Pricing Formula
7.8 Project Choice*
7.9 Projection Pricing
7.10 Correlation Pricing
7.11 Summary
Exercises
References
Chapter 8 OTHER PRICING MODELS
8.1 Introduction
8.2 Factor Models
8.3 The CAPM as a Factor Model
8.4 Arbitrage Pricing Theory*
8.5 Projection Pricing with Factors
8.6 A Multiperiod Fallacy
8.7 Summary
Exercises
References
Chapter 9 DATA AND STATISTICS
9.1 Basic Estimation Methods
9.2 Estimation of Other Parameters
9.3 The Effect of Estimation Errors
9.4 Conservative Approaches
9.5 Tilting Away From Equilibrium*
9.6 Summary
Exercises
References
Chapter 10 RISK MEASURES
10.1 Value at Risk
10.2 Computation of Value at Risk
10.3 Criticisms of VaR
10.4 Coherent Risk Measures
10.5 Conditional Value at Risk
10.6 Coherent Characterization*
10.7 Convexity*
10.8 Summary
Exercises
References
Chapter 11 GENERAL PRINCIPLES
11.1 Introduction
11.2 Utility Functions
11.3 Risk Aversion
11.4 Specification of Utility Functions
11.5 Utility Functions and the Mean–Variance Criterion*
11.6 Linear Pricing
11.7 Portfolio Choice
11.8 Arbitrage Bounds
11.9 Zero-Level Pricing
11.10 Log-Optimal Pricing*
11.11 Finite State Models
11.12 Risk-Neutral Pricing
11.13 Summary
Exercises
References
Part III: DERIVATIVE SECURITIES
Chapter 12 FORWARDS, FUTURES, AND SWAPS
12.1 Pricing Principles
12.2 Forward Contracts
12.3 Forward Prices
12.4 The Value of a Forward Contract
12.5 Swaps*
12.6 Basics of Futures Contracts
12.7 Futures Prices
12.8 Relation to Expected Spot Price*
12.9 The Perfect Hedge
12.10 The Minimum-Variance Hedge
12.11 Optimal Hedging*
12.12 Hedging Nonlinear Risk*
12.13 Summary
Exercises
References
Chapter 13 MODELS OF ASSET DYNAMICS
13.1 Binomial Lattice Model
13.2 The Additive Model
13.3 The Multiplicative Model
13.4 Typical Parameter Values*
13.5 Lognormal Random Variables
13.6 Random Walks and Wiener Processes
13.7 A Stock Price Process
13.8 Ito’s Lemma*
13.9 Binomial Lattice Revisited
13.10 Summary
Exercises
References
Chapter 14 BASIC OPTIONS THEORY
14.1 Option Concepts
14.2 The Nature of Option Values
14.3 Option Combinations and Put–Call Parity
14.4 Early Exercise
14.5 Single-Period Binomial Options Theory
14.6 Multiperiod Options
14.7 More General Binomial Problems
14.8 Evaluating Real Investment Opportunities
14.9 General Risk-Neutral Pricing*
14.10 Three-principle Power
14.11 Summary
Exercises
References
Chapter 15 ADDITIONAL OPTIONS TOPICS
15.1 Introduction
15.2 The Black–Scholes Equation
15.3 Call Option Formula
15.4 Risk-Neutral Valuation*
15.5 Delta
15.6 Replication, Synthetic Options, and Portfolio Insurance*
15.7 Volatility Smiles
15.8 Computational Methods
15.9 Exotic Options
15.10 Comparison of Methods
15.11 Storage Costs and Dividends*
15.12 Martingale Pricing*
15.13 Axioms and Black–Scholes
15.14 Summary
Exercises
References
Chapter 16 INTEREST RATE DERIVATIVES
16.1 Examples of Interest Rate Derivatives
16.2 The Need for a Theory
16.3 The Binomial Approach
16.4 Pricing Applications
16.5 Leveling and Adjustable-Rate Loans*
16.6 The Forward Equation
16.7 Matching the Term Structure
16.8 Immunization
16.9 Collateralized Mortgage Obligations*
16.10 Models of Interest Rate Dynamics*
16.11 Continuous-Time Solutions*
16.12 Extensions
16.13 Summary
Exercises
References
Chapter 17 CREDIT RISK
17.1 The Classic Merton Model
17.2 First Passage Times
17.3 Rating Methods
17.4 Intensity (Reduced-Form) Model
17.5 Stochastic Intensity Model*
17.6 Intermediate Receipts
17.7 Analytically Tractable Cox Processes
17.8 Simulation
17.9 Lattice Methods
17.10 Correlated Defaults
17.11 Credit Derivatives
17.12 Summary
Exercises
References
Part IV: GENERAL CASH FLOWSTREAMS
Chapter 18 OPTIMAL PORTFOLIO GROWTH
18.1 The Investment Wheel
18.2 The Log Utility Approach to Growth
18.3 Properties of the Log-Optimal Strategy*
18.4 Alternative Approaches*
18.5 Continuous-Time Growth
18.6 The Feasible Region
18.7 The Log-Optimal Pricing Formula*
18.8 Log-Optimal Pricing and the Black–Scholes Equation*
18.9 Summary
Exercises
References
Chapter 19 GENERAL INVESTMENT EVALUATION
19.1 General Present Value
19.2 Multiperiod Securities*
19.3 Risk-Neutral Pricing
19.4 Optimal Pricing
19.5 The Double Lattice
19.6 Pricing in a Double Lattice
19.7 Investments with Private Uncertainty
19.8 Buying Price Analysis
19.9 Pricing Axioms for Continuous Time
19.10 Summary
Exercises
References
Appendix A: BASIC PROBABILITY THEORY
A.1 General Concepts
A.2 Normal Random Variables
A.3 Lognormal Random Variables
Appendix B: CALCULUS AND OPTIMIZATION
B.1 Functions
B.2 Differential Calculus
B.3 Optimization
ANSWERS TO EXERCISES
INDEX
A
B
C
D
E
F
G
H
I
J
K
L
M
N
O
P
Q
R
S
T
U
V
W
Y
Z